Bayesian estimation of a DSGE model with asset prices

Autori

• Martin Kliem

Parametri

• Economia e affari
• Discussion paper / Deutsche Bundesbank; Eurosystem

Maggiori informazioni sul libro

This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution of the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, using an estimate of the Sharpe ratio to construct the constraint. We show that the constrained estimation produces a quantitative model with both reasonable asset-pricing as well as business-cycle implications.

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Lingua: Inglese

Pubblicato: 2013